Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 5 | 5 | 5 |
| Score | 9.08 | 14.37 | 8.02 |
| Market Cap (Millions USD) | 13408.24 | 14013.8 | 12413.97 |
| Predicted Beta | 0.39 | 0.38 | 0.4 |
| Idiosyncratic Volatility | 1.92 | 1.67 | 2.4 |
Annualized return and volatility
| XLP | |
|---|---|
| Annualized Return | 0.0757 |
| Annualized Std Dev | 0.1435 |
| Annualized Sharpe (Rf=0%) | 0.5276 |
Row
Daily Return Statistics
| XLP | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.0602 |
| Quartile 1 | -0.0041 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0051 |
| Maximum | 0.0689 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0090 |
| Skewness | -0.0926 |
| Kurtosis | 5.0715 |
Downside Risk
| XLP | |
|---|---|
| Semi Deviation | 0.0065 |
| Gain Deviation | 0.0062 |
| Loss Deviation | 0.0067 |
| Downside Deviation (MAR=210%) | 0.0116 |
| Downside Deviation (Rf=0%) | 0.0063 |
| Downside Deviation (0%) | 0.0063 |
| Maximum Drawdown | 0.3589 |
| Historical VaR (95%) | -0.0137 |
| Historical ES (95%) | -0.0213 |
| Modified VaR (95%) | -0.0138 |
| Modified ES (95%) | -0.0226 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-12-29 | 2003-03-10 | 2006-10-26 | -0.3589 | 1490 | 559 | 931 |
| 2008-09-15 | 2009-03-09 | 2010-03-17 | -0.3239 | 386 | 125 | 261 |
| 2000-01-10 | 2000-03-07 | 2000-05-26 | -0.2321 | 98 | 40 | 58 |
| 2018-01-29 | 2018-05-03 | 2019-04-17 | -0.1610 | 312 | 68 | 244 |
| 2011-05-20 | 2011-08-10 | 2011-12-06 | -0.1194 | 140 | 57 | 83 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | XLP | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | -1.0 | -0.9 | 0.0 | 1.3 | 0.3 | 0.0 | 3.3 | -0.6 | 0.0 | -0.1 | -1.5 | 0.0 | 0.7 |
| 2001 | 0.9 | -0.9 | 0.0 | 1.1 | 1.3 | 0.0 | 0.0 | 0.0 | 0.8 | 2.3 | 0.0 | 0.0 | 5.6 |
| 2002 | 0.1 | 1.9 | -0.2 | 1.4 | 0.0 | 1.0 | -0.9 | 0.0 | 3.0 | 1.3 | 0.0 | 0.0 | 7.7 |
| 2003 | 0.0 | 0.0 | -0.3 | -0.1 | 0.0 | 0.8 | -1.0 | 0.0 | 1.8 | 0.0 | -0.2 | 0.0 | 1.0 |
| 2004 | 0.0 | 1.1 | -0.4 | 0.0 | 0.0 | -1.0 | 0.0 | 0.0 | 1.0 | -0.2 | 1.3 | 0.0 | 1.9 |
| 2005 | 0.0 | 0.8 | -1.0 | 0.0 | 0.7 | 0.4 | -0.5 | -0.1 | 0.0 | -0.6 | 0.7 | 0.0 | 0.4 |
| 2006 | 0.3 | 0.4 | 0.0 | 0.0 | 0.5 | 0.0 | -0.5 | 0.5 | 0.0 | -0.8 | -0.3 | 0.0 | 0.1 |
| 2007 | 0.4 | 0.2 | 0.0 | -0.4 | 0.5 | 0.0 | 1.5 | 0.0 | -0.3 | -2.0 | 0.0 | 0.0 | -0.1 |
| 2008 | 1.0 | 0.0 | 1.2 | 1.8 | 0.0 | -0.1 | -0.2 | 0.0 | 0.7 | 0.0 | -5.5 | 0.0 | -1.3 |
| 2009 | 0.0 | 0.0 | 1.7 | 0.4 | 2.0 | 1.7 | 0.0 | -0.9 | -0.9 | 0.0 | 1.4 | 0.0 | 5.4 |
| 2010 | 0.8 | 0.7 | 0.6 | 0.0 | -0.2 | 0.2 | 0.0 | 1.8 | 0.2 | -0.4 | 1.6 | 0.0 | 5.3 |
| 2011 | 0.7 | -0.8 | 0.5 | 0.0 | -1.0 | 0.8 | -0.4 | -0.4 | 0.0 | -1.7 | -0.2 | 0.0 | -2.4 |
| 2012 | 0.7 | -0.2 | 0.0 | 0.3 | -1.8 | 0.0 | -0.5 | 0.0 | 0.6 | 0.1 | 0.0 | 0.0 | -0.8 |
| 2013 | 0.8 | 0.3 | -0.1 | -0.1 | 0.0 | 0.7 | 0.8 | 0.0 | 0.6 | 0.4 | 0.0 | 0.0 | 3.6 |
| 2014 | 0.0 | 0.0 | -0.2 | -0.1 | 0.0 | 0.2 | 0.8 | 0.0 | -0.6 | 0.0 | -0.6 | 0.0 | -0.5 |
| 2015 | 0.0 | 0.0 | 0.1 | 0.9 | 0.0 | 1.3 | 0.0 | -2.1 | 0.0 | 0.0 | 0.8 | 0.0 | 1.1 |
| 2016 | 0.3 | 1.0 | 1.1 | 0.0 | 1.0 | -0.5 | 0.1 | 0.0 | 0.0 | -0.4 | -0.7 | 0.0 | 2.0 |
| 2017 | -0.8 | 0.5 | 0.0 | -0.4 | 0.8 | 0.0 | -0.1 | 0.5 | 0.0 | 0.3 | 0.2 | 0.0 | 1.1 |
| 2018 | -0.4 | -0.2 | 0.0 | -0.9 | 0.0 | 0.0 | -0.8 | 0.0 | -0.1 | 0.7 | 0.0 | 0.0 | -1.7 |
| 2019 | -0.3 | -0.2 | -0.3 | -1.2 | 0.0 | 0.6 | -0.4 | 0.0 | -0.3 | 0.0 | 0.0 | 0.1 | -2.0 |
Row
Rolling Performance Chart
Snail Trail Chart
